Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 20 is Best) | 1 | 1 | 1 |
| Score | -5.72 | -6.35 | -8.65 |
| Market Cap (Millions USD) | 62.38 | 54.74 | 55.46 |
| Predicted Beta | 0.3 | 0.31 | 0.32 |
| Idiosyncratic Volatility | 1.29 | 1.53 | 1.72 |
Annualized return and volatility
| EWO | |
|---|---|
| Annualized Return | 0.0654 |
| Annualized Std Dev | 0.2633 |
| Annualized Sharpe (Rf=0%) | 0.2483 |
Row
Daily Return Statistics
| EWO | |
|---|---|
| Observations | 5111.0000 |
| NAs | 2.0000 |
| Minimum | -0.1266 |
| Quartile 1 | -0.0071 |
| Median | 0.0005 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0087 |
| Maximum | 0.1642 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0003 |
| Stdev | 0.0166 |
| Skewness | -0.3257 |
| Kurtosis | 9.0829 |
Downside Risk
| EWO | |
|---|---|
| Semi Deviation | 0.0122 |
| Gain Deviation | 0.0113 |
| Loss Deviation | 0.0133 |
| Downside Deviation (MAR=210%) | 0.0166 |
| Downside Deviation (Rf=0%) | 0.0120 |
| Downside Deviation (0%) | 0.0120 |
| Maximum Drawdown | 0.7569 |
| Historical VaR (95%) | -0.0252 |
| Historical ES (95%) | -0.0405 |
| Modified VaR (95%) | -0.0253 |
| Modified ES (95%) | -0.0463 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-06-05 | 2009-03-09 | NA | -0.7569 | 3218 | 455 | NA |
| 2000-01-10 | 2000-10-25 | 2003-01-24 | -0.2788 | 776 | 205 | 571 |
| 2006-05-08 | 2006-06-13 | 2006-11-29 | -0.2359 | 146 | 26 | 120 |
| 2005-03-08 | 2005-05-13 | 2005-08-01 | -0.1480 | 103 | 49 | 54 |
| 2005-09-12 | 2005-10-20 | 2005-12-13 | -0.1089 | 67 | 30 | 37 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | EWO | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | -3.1 | -1.6 | 0.0 | -0.8 | -3.1 | 0.0 | 0.0 | 1.6 | 0.0 | 0.0 | 0.0 | 0.0 | -6.9 |
| 2001 | 3.8 | -0.6 | 0.0 | 1.5 | 0.0 | 0.0 | 0.0 | 0.0 | 4.0 | 3.0 | 0.0 | 0.0 | 12.2 |
| 2002 | 0.0 | 0.4 | 0.8 | 0.7 | 0.0 | 0.5 | -1.8 | 0.0 | -0.7 | 1.0 | 0.0 | 0.0 | 1.0 |
| 2003 | 0.0 | 0.0 | 2.0 | -0.1 | 0.0 | 2.2 | -3.4 | 0.0 | 0.1 | 0.0 | 1.5 | 0.0 | 2.3 |
| 2004 | 0.0 | 0.9 | 1.5 | 0.0 | -0.7 | -0.5 | 0.0 | -0.6 | 0.4 | 0.8 | 0.6 | 0.0 | 2.5 |
| 2005 | 1.4 | -0.2 | 0.2 | 0.0 | -0.1 | 0.0 | 2.5 | 1.4 | 0.0 | -0.4 | 1.4 | 0.0 | 6.3 |
| 2006 | 0.3 | 0.4 | 0.0 | -0.3 | 0.9 | 0.0 | -0.1 | 1.3 | 0.0 | -0.7 | 1.4 | 0.0 | 3.4 |
| 2007 | 0.4 | -1.4 | 0.0 | 0.3 | 0.1 | 0.0 | 0.7 | 0.0 | 1.2 | -2.6 | 0.0 | 0.0 | -1.2 |
| 2008 | 1.2 | 0.0 | 2.8 | 1.1 | 0.0 | -2.1 | -1.3 | 0.0 | -1.2 | 0.0 | -6.3 | 0.0 | -5.8 |
| 2009 | 0.0 | 0.0 | 2.4 | 0.6 | 2.4 | 1.9 | 0.0 | -2.8 | -3.4 | 0.0 | 3.2 | 0.0 | 4.2 |
| 2010 | 2.5 | -0.2 | 1.6 | 0.0 | -3.0 | 2.6 | 0.0 | 2.9 | 2.1 | -1.2 | 4.9 | 0.0 | 12.6 |
| 2011 | 2.7 | -1.8 | 1.0 | 0.0 | -1.8 | 1.5 | -1.3 | -2.0 | 0.0 | -5.5 | -2.2 | 0.0 | -9.2 |
| 2012 | 1.9 | 1.4 | 0.0 | 0.7 | -2.4 | 0.0 | -1.1 | 0.0 | 1.1 | 1.3 | 0.0 | 0.0 | 2.9 |
| 2013 | 0.9 | 0.2 | -0.7 | -0.8 | 0.0 | 1.2 | 2.2 | 0.0 | 0.9 | -0.8 | 0.0 | 0.0 | 3.1 |
| 2014 | 0.0 | 0.0 | 1.5 | 0.1 | 0.0 | 0.1 | -0.8 | 0.0 | -0.6 | 0.0 | -0.2 | 0.0 | 0.1 |
| 2015 | 0.0 | 0.0 | 1.5 | 1.0 | -1.0 | 1.4 | 0.0 | -2.0 | 0.5 | 0.0 | 1.5 | 0.0 | 3.0 |
| 2016 | -0.6 | 2.3 | 0.4 | 0.0 | -1.0 | 0.0 | -1.6 | 1.7 | 0.0 | -0.4 | 0.4 | 0.0 | 1.2 |
| 2017 | 1.4 | 2.0 | 0.0 | 0.4 | 1.0 | 0.0 | 0.4 | 0.3 | 0.0 | 0.1 | 0.1 | 0.0 | 5.9 |
| 2018 | 0.8 | -0.6 | 0.0 | -0.5 | -0.1 | 0.0 | -0.3 | 0.0 | 0.0 | 1.3 | 0.0 | 0.0 | 0.6 |
| 2019 | 0.3 | 0.7 | 1.8 | -0.4 | 0.0 | 0.4 | -1.2 | 0.0 | -0.5 | 1.1 | 0.0 | 0.4 | 2.6 |
Row
Rolling Performance Chart
Snail Trail Chart
